The Impact of Regulation on Pricing Behavior in the Spanish Electricity Market

In this paper we measure the impact of regulatory measures which affected the Spanish electricity wholesale market in the period 2002-2005. Our approach is based on the fact that regulation changes firms' incentives and therefore their market behavior. In the absence of any regulation firms would choose profit- maximizing prices on their residual demands so that the observed gap between optimal and actual prices provides a measure of the effect of regulation. Our results indicate that regulation has decreased wholesale prices considerably, but became less effective at the end of the sample period which explains the change of regulatory regime introduced in 2006.

An empirical comparison of the performance of alternative option pricing models

Published as an article in: Investigaciones Economicas, 2005, vol. 29, issue 3, pages 483-523.

Asset pricing and systematic liquidity risk: an empirical investigation of the Spanish stock market

Systematic liquidity shocks should affect the optimal behavior of agents in financial markets. Indeed, fluctuations in various measures of liquidity are significantly correlated across common stocks. Accordingly, this paper empirically analyzes whether Spanish average returns vary cross-sectionally with betas estimated relative to two competing liquidity risk factors. The first one, proposed by Pastor and Stambaugh (2002), is associated with the strength of volume-related return reversals. Our marketwide liquidity factor is defined as the difference between returns highly sensitive to changes in the relative bid-ask spread and returns with low sensitivities to those changes. Our empirical results show that neither of these proxies for systematic liquidity risk seems to be priced in the Spanish stock market. Further international evidence is deserved.

Consumer Expertise or Credit Risk? An empirical analysis of mortgage pricing

Loan mortgage interest rates are usually the result of a bank-customer negotiation process. Credit risk, consumer cross-buying potential, bundling, financial market competition and other features affecting the bargaining power of the parties could affect price. We argue that, since mortgage loan is a complex product, consumer expertise could be a relevant factor for mortgage pricing. Using data on mortgage loan prices for a sample of 1055 households for the year 2005 (Bank of Spain Survey of Household Finances, EFF-2005), and including credit risk, costs, potential capacity of the consumer to generate future business and bank competition variables, the regression results indicate that consumer expertise-related metrics are highly significant as predictors of mortgage loan prices. Other factors such as credit risk and consumer cross-buying potential do not have such a significant impact on mortgage prices. Our empirical results are affected by the credit conditions prior to the financial crisis and could shed some light on this issue.

Environmental Concerns in Water Pricing Policy: an Application of Data Envelopment Analysis (DEA)

25 p.

Price Premium for High-Efficiency Refrigerators and Calculation of Price-Elasticities for Close-Substitutes: Combining Hedonic Pricing and Demand Systems

21 p.

NEW METHODOLOGY FOR FEEDER RECONFIGURATION IN DISTRIBUTION NETWORKS WITH DISTRIBUTED ENERGY RESOURCES

This doctoral Thesis defines and develops a new methodology for feeder reconfiguration in distribution networks with Distributed Energy Resources (DER). The proposed methodology is based on metaheuristic Ant Colony Optimization (ACO) algorithms. The methodology is called Item Oriented Ant System (IOAS) and the doctoral Thesis also defines three variations of the original methodology, Item Oriented Ant Colony System (IOACS), Item Oriented Max-min Ant System (IOMMAS) y Item Oriented Max-min Ant Colony System (IOACS). All methodologies pursue a twofold objective, to minimize the power losses and maximize DER penetration in distribution networks. The aim of the variations is to find the algorithm that adapts better to the present optimization problem, solving it most efficiently. The main feature of the methodology lies in the fact that the heuristic information and the exploitation information (pheromone) are attached to the item not to the path. Besides, the doctoral Thesis proposes to use feeder reconfiguration in order to increase the distribution network capacity of accepting a major degree of DER. The proposed methodology and its three variations have been tested and verified in two distribution networks well documented in the existing bibliography. These networks have been modeled and used to test all proposed methodologies for different scenarios with various DER penetration degrees.

Unveiling the factors shaping the distribution of widely distributed alpine vertebrates, using multi-scale ecological niche modelling of the bat Plecotus macrobullaris

Several alpine vertebrates share a distribution pattern that extends across the South-western Palearctic but is limited to the main mountain massifs. Although they are usually regarded as cold-adapted species, the range of many alpine vertebrates also includes relatively warm areas, suggesting that factors beyond climatic conditions may be driving their distribution. In this work we first recognize the species belonging to the mentioned biogeographic group and, based on the environmental niche analysis of Plecotus macrobullaris, we identify and characterize the environmental factors constraining their ranges. Distribution overlap analysis of 504 European vertebrates was done using the Sorensen Similarity Index, and we identified four birds and one mammal that share the distribution with P. macrobullaris. We generated 135 environmental niche models including different variable combinations and regularization values for P. macrobullaris at two different scales and resolutions. After selecting the best models, we observed that topographic variables outperformed climatic predictors, and the abruptness of the landscape showed better predictive ability than elevation. The best explanatory climatic variable was mean summer temperature, which showed that P. macrobullaris is able to cope with mean temperature ranges spanning up to 16 degrees C. The models showed that the distribution of P. macrobullaris is mainly shaped by topographic factors that provide rock-abundant and open-space habitats rather than climatic determinants, and that the species is not a cold-adapted, but rather a cold-tolerant eurithermic organism. P. macrobullaris shares its distribution pattern as well as several ecological features with five other alpine vertebrates, suggesting that the conclusions obtained from this study might be extensible to them. We concluded that rock-dwelling and open-space foraging vertebrates with broad temperature tolerance are the best candidates to show wide alpine distribution in the Western Palearctic.

Contributions on agreement in dynamic distributed systems

139 p.

Hyers-Ulam-Rassias Stability of Functional Differential Systems with Point and Distributed Delays

This paper investigates stability and asymptotic properties of the error with respect to its nominal version of a nonlinear time-varying perturbed functional differential system subject to point, finite-distributed, and Volterra-type distributed delays associated with linear dynamics together with a class of nonlinear delayed dynamics. The boundedness of the error and its asymptotic convergence to zero are investigated with the results being obtained based on the Hyers-Ulam-Rassias analysis.

Inferring Population Genetic Structure in Widely and Continuously Distributed Carnivores: The Stone Marten (Martes foina) as a Case Study

The stone marten is a widely distributed mustelid in the Palaearctic region that exhibits variable habitat preferences in different parts of its range. The species is a Holocene immigrant from southwest Asia which, according to fossil remains, followed the expansion of the Neolithic farming cultures into Europe and possibly colonized the Iberian Peninsula during the Early Neolithic (ca. 7,000 years BP). However, the population genetic structure and historical biogeography of this generalist carnivore remains essentially unknown. In this study we have combined mitochondrial DNA (mtDNA) sequencing (621 bp) and microsatellite genotyping (23 polymorphic markers) to infer the population genetic structure of the stone marten within the Iberian Peninsula. The mtDNA data revealed low haplotype and nucleotide diversities and a lack of phylogeographic structure, most likely due to a recent colonization of the Iberian Peninsula by a few mtDNA lineages during the Early Neolithic. The microsatellite data set was analysed with a) spatial and non-spatial Bayesian individual-based clustering (IBC) approaches (STRUCTURE, TESS, BAPS and GENELAND), and b) multivariate methods [discriminant analysis of principal components (DAPC) and spatial principal component analysis (sPCA)]. Additionally, because isolation by distance (IBD) is a common spatial genetic pattern in mobile and continuously distributed species and it may represent a challenge to the performance of the above methods, the microsatellite data set was tested for its presence. Overall, the genetic structure of the stone marten in the Iberian Peninsula was characterized by a NE-SW spatial pattern of IBD, and this may explain the observed disagreement between clustering solutions obtained by the different IBC methods. However, there was significant indication for contemporary genetic structuring, albeit weak, into at least three different subpopulations. The detected subdivision could be attributed to the influence of the rivers Ebro, Tagus and Guadiana, suggesting that main watercourses in the Iberian Peninsula may act as semi-permeable barriers to gene flow in stone martens. To our knowledge, this is the first phylogeographic and population genetic study of the species at a broad regional scale. We also wanted to make the case for the importance and benefits of using and comparing multiple different clustering and multivariate methods in spatial genetic analyses of mobile and continuously distributed species.

Learning Multirobot Hose Transportation and Deployment by Distributed Round-Robin Q-Learning

Multi-Agent Reinforcement Learning (MARL) algorithms face two main difficulties: the curse of dimensionality, and environment non-stationarity due to the independent learning processes carried out by the agents concurrently. In this paper we formalize and prove the convergence of a Distributed Round Robin Q-learning (D-RR-QL) algorithm for cooperative systems. The computational complexity of this algorithm increases linearly with the number of agents. Moreover, it eliminates environment non sta tionarity by carrying a round-robin scheduling of the action selection and execution. That this learning scheme allows the implementation of Modular State-Action Vetoes (MSAV) in cooperative multi-agent systems, which speeds up learning convergence in over-constrained systems by vetoing state-action pairs which lead to undesired termination states (UTS) in the relevant state-action subspace. Each agent's local state-action value function learning is an independent process, including the MSAV policies. Coordination of locally optimal policies to obtain the global optimal joint policy is achieved by a greedy selection procedure using message passing. We show that D-RR-QL improves over state-of-the-art approaches, such as Distributed Q-Learning, Team Q-Learning and Coordinated Reinforcement Learning in a paradigmatic Linked Multi-Component Robotic System (L-MCRS) control problem: the hose transportation task. L-MCRS are over-constrained systems with many UTS induced by the interaction of the passive linking element and the active mobile robots.